It's called a sausage but contains no meat at all — the original was made with cheese from the now-rare Glamorgan cattle breed, and Caerphilly usually stands in today.
Grated Caerphilly-style cheese, breadcrumbs, leek and herbs are bound with egg, rolled into a sausage shape, breaded and fried until crisp outside and molten within. Welsh market stalls and delis sell them ready-fried as a snack or light lunch.